{"id":7674,"date":"2024-08-13T14:39:17","date_gmt":"2024-08-13T17:39:17","guid":{"rendered":"https:\/\/economicas.uba.ar\/iiep\/netlab\/?p=7674"},"modified":"2024-12-04T15:21:36","modified_gmt":"2024-12-04T18:21:36","slug":"a-first-stage-representation-for-instrumental-variables-quantile-regression","status":"publish","type":"post","link":"https:\/\/economicas.uba.ar\/iiep\/netlab\/a-first-stage-representation-for-instrumental-variables-quantile-regression\/","title":{"rendered":"A first-stage representation for instrumental variables quantile regression"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"7674\" class=\"elementor elementor-7674\" data-elementor-post-type=\"post\">\n\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-53b5461 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"53b5461\" data-element_type=\"section\" data-e-type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-a3e1567\" data-id=\"a3e1567\" data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-940bb4b elementor-widget elementor-widget-spacer\" data-id=\"940bb4b\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"spacer.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<div class=\"elementor-spacer\">\n\t\t\t<div class=\"elementor-spacer-inner\"><\/div>\n\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t<div class=\"elementor-element elementor-element-f09ec1c e-flex e-con-boxed e-con e-parent\" data-id=\"f09ec1c\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-5c668e9 elementor-widget elementor-widget-heading\" data-id=\"5c668e9\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">A first-stage representation for instrumental variables quantile regression<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-879cd56 e-con-full e-flex e-con e-child\" data-id=\"879cd56\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-21f388e elementor-widget elementor-widget-heading\" data-id=\"21f388e\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h1 class=\"elementor-heading-title elementor-size-default\">Alejo, Javier\n<br>\nGalvao, Antonio F.\n<br>\nMontes-Rojas, Gabriel\n<\/h1>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-dc1de73 elementor-widget elementor-widget-button\" data-id=\"dc1de73\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-sm\" href=\"https:\/\/drive.google.com\/file\/d\/1A1X4AK3vpioOlrENqgDrF4r-PrizukOA\/view?usp=drive_link\" target=\"_blank\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t<span class=\"elementor-button-icon\">\n\t\t\t\t<i aria-hidden=\"true\" class=\"fas fa-arrow-down\"><\/i>\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\t<span class=\"elementor-button-text\">bajar<\/span>\n\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-88669af elementor-widget elementor-widget-heading\" data-id=\"88669af\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<p class=\"elementor-heading-title elementor-size-default\">2023<\/p>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-021ee9f e-flex e-con-boxed e-con e-parent\" data-id=\"021ee9f\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-aa3e9a0 elementor-widget elementor-widget-heading\" data-id=\"aa3e9a0\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<p class=\"elementor-heading-title elementor-size-default\"><a href=\"https:\/\/drive.google.com\/file\/d\/1A1X4AK3vpioOlrENqgDrF4r-PrizukOA\/view?usp=drive_link\" target=\"_blank\">Econometrics Journal, 26, 350-377. https:\/\/doi.org\/10.1093\/ectj\/utad010 \n<\/a><\/p>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-d3ea42e e-flex e-con-boxed e-con e-parent\" data-id=\"d3ea42e\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-37b9936 elementor-widget elementor-widget-text-editor\" data-id=\"37b9936\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p><span style=\"font-weight: 400;\">This paper develops a first-stage linear regression representation for an instrumental variables (IV) quantile regression (QR) model. The quantile first stage is analogous to the least-squares case, i.e., a linear projection of the endogenous variables on the instruments and other exogenous covariates, with the difference that the QR case is a weighted projection. The weights are given by the conditional density function of the innovation term in the QR structural model, at a given quantile. We also show that the required Jacobian identification conditions for IVQR models are embedded in the quantile first stage. We then suggest procedures to evaluate the validity of instruments by evaluating their statistical significance using the first-stage representation. Monte Carlo experiments provide numerical evidence that the proposed tests work as expected in terms of empirical size and power. An empirical application illustrates the methods.<\/span><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-e306e3e e-flex e-con-boxed e-con e-parent\" data-id=\"e306e3e\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-6e65d16b elementor-section-full_width elementor-section-stretched elementor-section-height-default elementor-section-height-default\" data-id=\"6e65d16b\" data-element_type=\"section\" data-e-type=\"section\" data-settings=\"{&quot;stretch_section&quot;:&quot;section-stretched&quot;,&quot;background_background&quot;:&quot;classic&quot;}\">\n\t\t\t\t\t\t\t<div class=\"elementor-background-overlay\"><\/div>\n\t\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-568465ff\" data-id=\"568465ff\" data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t<section class=\"elementor-section elementor-inner-section elementor-element elementor-element-2e05a694 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"2e05a694\" data-element_type=\"section\" data-e-type=\"section\">\n\t\t\t\t\t\t\t<div class=\"elementor-background-overlay\"><\/div>\n\t\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-33 elementor-inner-column elementor-element elementor-element-7a4841ad\" data-id=\"7a4841ad\" data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t<div 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data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-3c953616 elementor-view-framed elementor-shape-circle elementor-widget elementor-widget-icon\" data-id=\"3c953616\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"icon.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<div class=\"elementor-icon-wrapper\">\n\t\t\t<a class=\"elementor-icon\" href=\"https:\/\/x.com\/netlab_iiep\" target=\"_blank\">\n\t\t\t<i aria-hidden=\"true\" class=\"fab fa-x-twitter\"><\/i>\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<div class=\"elementor-column elementor-col-33 elementor-inner-column elementor-element elementor-element-420185fb\" data-id=\"420185fb\" data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-5e323962 elementor-view-framed elementor-shape-circle elementor-widget elementor-widget-icon\" data-id=\"5e323962\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"icon.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<div class=\"elementor-icon-wrapper\">\n\t\t\t<a class=\"elementor-icon\" href=\"https:\/\/www.youtube.com\/c\/IIEPUBACONICET\" target=\"_blank\">\n\t\t\t<i aria-hidden=\"true\" class=\"fab fa-youtube\"><\/i>\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t<div class=\"elementor-element elementor-element-1b0a85b1 e-flex e-con-boxed e-con e-parent\" data-id=\"1b0a85b1\" data-element_type=\"container\" data-e-type=\"container\" data-settings=\"{&quot;background_background&quot;:&quot;classic&quot;}\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t<div class=\"elementor-element elementor-element-19b36296 e-grid e-con-boxed e-con e-child\" data-id=\"19b36296\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-10daff99 elementor-widget elementor-widget-image\" data-id=\"10daff99\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<img decoding=\"async\" src=\"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-content\/uploads\/IIEP_sinfondo.png\" title=\"\" alt=\"\" loading=\"lazy\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-5f60f467 elementor-widget elementor-widget-text-editor\" data-id=\"5f60f467\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>Av. C\u00f3rdoba 2122 &#8211; 1\u00b0 piso (C1120 AAQ)<br \/>Ciudad Aut\u00f3noma de Buenos Aires |\u00a0 Argentina<br \/>Tel\/fax: +54 11 5285-6578\u00a0<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-660b2207 e-grid e-con-boxed e-con e-child\" data-id=\"660b2207\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-4aac2ce0 elementor-widget elementor-widget-heading\" data-id=\"4aac2ce0\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h4 class=\"elementor-heading-title elementor-size-default\"><a href=\"http:\/\/eepurl.com\/gvhK2j\">\u00bfQuer\u00e9s conocer nuestras novedades?\nSumate a nuestra lista de correo<\/a><\/h4>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>A first-stage representation for instrumental variables quantile regression Alejo, Javier Galvao, Antonio F. Montes-Rojas, Gabriel bajar 2023 Econometrics Journal, 26, 350-377. https:\/\/doi.org\/10.1093\/ectj\/utad010 This paper develops a first-stage linear regression representation<\/p>\n","protected":false},"author":8,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[97],"tags":[94],"class_list":["post-7674","post","type-post","status-publish","format-standard","hentry","category-paper","tag-publicaciones"],"_links":{"self":[{"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/posts\/7674","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/users\/8"}],"replies":[{"embeddable":true,"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/comments?post=7674"}],"version-history":[{"count":16,"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/posts\/7674\/revisions"}],"predecessor-version":[{"id":8413,"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/posts\/7674\/revisions\/8413"}],"wp:attachment":[{"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/media?parent=7674"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/categories?post=7674"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/economicas.uba.ar\/iiep\/netlab\/wp-json\/wp\/v2\/tags?post=7674"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}